The Cross‐Section of Realized Stock Returns: The Pre‐COMPUSTAT Evidence

ABSTRACT

Using a database that is free of survivorship bias, this article finds that book‐to‐market equity, earnings yield, and cash
flow yield have significant explanatory power with respect to the cross‐section of realized stock returns during the period
from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though
small stocks are, by construction, excluded from the sample.